Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Zhongan Online P&C Insurance Co., Ltd. Class H backtest
10 trend-following strategies were compared on the full daily history of Zhongan Online P&C Insurance Co., Ltd. Class H. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.9%, MDD -31.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -17.8%, drawdown -90.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.9%, MDD -31.2%, Sharpe 0.31, 4% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 22.7%p higher than buy and hold, while drawdown improves by 59.2%p (CAGR 4.9%, MDD -31.2%, exposure 4%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=71, exitN=3 |
4.9% | -31.2% | 0.31 | 0.16 | 1.5x | 21 | 4% |
| 볼린저 밴드 돌파 n=11, k=2.5 |
3.7% | -44.6% | 0.27 | 0.08 | 1.4x | 33 | 7% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=18, mult=3.6 |
3.6% | -40.6% | 0.26 | 0.09 | 1.4x | 12 | 4% |
| ROC 모멘텀 n=61, threshold=0.13 |
0.2% | -67.9% | 0.17 | 0.00 | 1.0x | 56 | 19% |
| SMA 크로스오버 fast=58, slow=212 |
0.0% | -68.1% | 0.16 | 0.00 | 1.0x | 8 | 31% |
| ADX / DI 방향성 period=27, threshold=20 |
-1.1% | -56.0% | 0.11 | -0.02 | 0.9x | 22 | 15% |
| EMA 크로스오버 fast=70, slow=210 |
-2.6% | -71.7% | 0.08 | -0.04 | 0.8x | 6 | 29% |
| Supertrend period=21, mult=3.6 |
-5.4% | -68.8% | 0.05 | -0.08 | 0.6x | 43 | 34% |
| Parabolic SAR step=0.035, maxStep=0.26 |
-7.0% | -82.5% | 0.05 | -0.09 | 0.5x | 255 | 46% |
| MACD fast=18, slow=59, signal=19 |
-9.7% | -69.0% | -0.02 | -0.14 | 0.4x | 83 | 46% |
| Buy and hold | -17.8% | -90.4% | -0.05 | -0.20 | 0.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 71 days
- Sell — Sell when price breaks below the lowest low of the last 3 days